If i buy apple watch Ultra 2 or Series 9, will its Oxygen app would work else where in the world or not?

If you buy it in the US and it has the part number ending in LW/A it doesn’t matter where you currently take it and use it, the feature will not work. You may want to check authorized retailers (Not Apple online or their stores) that still have inventory that does not have the part number ending in LW/A. Best Buy for example was still selling inventory that was not hindered by the ban both online and in store.

judging by purchasing watches from countries where other features are not supported then it does not help to transfer the devices to places where it is supported, though if they legally or techwise becomes able to sell the features in usa once again it will likely begin working on your device too

though if you want verification from apple themselves then you should reach out to their support channels

Get Support (apple.com)

And or

 Contact - Official Apple Support

And or

Contact - How to Contact Us - Apple

Or

Genius Bar Reservation and Apple

Support Options - Apple